Professional Documents
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Course notes
Mahendra K. Verma
August 23, 2010
Contents
1 A bit of history of chaos
1.1 Newton [1642-1727] . . . . . . . . . . . . . . . . . . .
1.2 Laplace [1749-1827]- Determinism . . . . . . . . . . .
1.3 Poincare [1854-1912 ]-Chaos in Three-Body Problem
1.4 Fluid Motion- Weather Prediction [1950] . . . . . . .
1.5 Lorenz - Reincarnation of Chaos . . . . . . . . . . .
1.6 Robert May - Chaos in Population Dynamics . . . .
1.7 Universality of chaos and later developments . . . .
1.8 Deterministic Chaos- Main ingradients . . . . . . . .
1.9 Current Problems of Interest . . . . . . . . . . . . .
1.10 A word on Quantum Mechanics . . . . . . . . . . . .
1.11 Pictures (source: wikipedia) . . . . . . . . . . . . . .
1.12 References . . . . . . . . . . . . . . . . . . . . . . . .
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2 Dynamical System
2.1 Dynamical System . . . . . . . . . . . . . . . .
2.2 Continuous state variables and continuous time
2.3 Continuous state variables and discrete time . .
2.4 Discrete state variables and discrete time . . .
2.5 Discrete state variables and continuous time . .
2.6 Nonlinear systems . . . . . . . . . . . . . . . .
2.7 State Space . . . . . . . . . . . . . . . . . . . .
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33
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37
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38
40
41
41
42
43
43
7 Three-Dimensional Systems
7.1 Linear Analysis . . . . . . . . . . . . . . . . . .
7.2 Thm: lin vs. nonlin . . . . . . . . . . . . . . . .
7.3 Example 1: Linear Analysis of Lorenz system .
7.4 Example 2: Two uncoupled oscillator . . . . . .
7.5 Another Example: Forced nonlinear Oscillator
7.6 Poincare Section and Maps . . . . . . . . . . .
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8 Bifurcation Theory
48
8.1 Bifurcation in 1D Flows . . . . . . . . . . . . . . . . . . . . . . . 48
8.2 Bifurcations in 2D Flows . . . . . . . . . . . . . . . . . . . . . . . 48
9 Homoclinic and Heteroclinic Intersctions
10 One Dimensional Maps and Chaos
10.1 Definitions . . . . . . . . . . . . . .
10.2 Stability of FPs . . . . . . . . . . .
10.3 Periodic orbits and their stability .
10.4 Quadratic Map . . . . . . . . . . .
10.5 Universality of chaos . . . . . . . .
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11 Bifurcations in Maps
51
51
51
52
52
54
60
12 Characterization of Chaos
12.1 Infinity . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
12.2 Fractal Set . . . . . . . . . . . . . . . . . . . . . . . . . .
12.3 Random fractals- . . . . . . . . . . . . . . . . . . . . . . .
12.4 Fractals in nature . . . . . . . . . . . . . . . . . . . . . . .
12.5 Limitations of capacity dimension. Generalized Dimension
12.6 Lyapunov Exponent for maps . . . . . . . . . . . . . . . .
12.7 Lyapunov Exponents for Flows . . . . . . . . . . . . . . .
12.8 Fourier Spectrum . . . . . . . . . . . . . . . . . . . . . . .
13 Intermittency in Chaos
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65
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16 Conclusions
76
77
B Nondimensionalization of ODEs
78
Chapter 1
Newton [1642-1727]
Newtons Laws: The equation of motion for a particle of mass m under a force
field F(x, t) is given by
d2 x
m 2 = F(x, t)
dt
!
!
x(t) = A cos ( k/mt) + B sin ( k/mt),
the solution is elliptical orbit for the planets. In fact the astronomical data
matched quite well with the predictions. Newtons laws could explain dynamics
of large number of systems, e.g., motion of moon, tides, motion of planets, etc.
1.2
Newtons law was so successful that the scientists thought that the world is
deterministic. In words of Laplace
"We may regard the present state of the universe as the effect of its past
and the cause of its future. An intellect which at any given moment knew all
of the forces that animate nature and the mutual positions of the beings that
compose it, if this intellect were vast enough to submit the data to analysis,
could condense into a single formula the movement of the greatest bodies of the
universe and that of the lightest atom; for such an intellect nothing could be
uncertain and the future just like the past would be present before its eyes."
4
1.3
One of the first glitch to the dynamics came from three-body problem. The
question posed was whether the planetary motion is stable or not. It was first
tackled by Poincare towards the end of ninteenth century. He showed that we
cannot write the trajectory of a particle using simple function. In fact, the
motion of a planet could become random or disorderly (unlike ellipse). This
motion was called chaotic motion later. In Poincares words itself.
If we knew exactly the laws of nature and the situation of the universe at
the initial moment, we could predict exactly the situation of that same universe
at a succeeding moment. but even if it were the case that the natural laws had
no longer any secret for us, we could still only know the initial situation approximately. If that enabled us to predict the succeeding situation with the same
approximation, that is all we require, and we should say that the phenomenon
had been predicted, that it is governed by laws. But it is not always so; it may
happen that small differences in the initial conditions produce very great ones
in the final phenomena. A small error in the former will produce an enormous
error in the latter. Prediction becomes impossible, and we have the fortuitous
phenomenon. - in a 1903 essay "Science and Method.
Clearly determinism does not hold in nature in the classical sense.
1.4
1.5
In 1961, Edward Lorentz discovered the butterfly effect while trying to forecast
the weather. He was essentially solving the convection equation. After one run,
he started another run whose initial condition was a truncated one. When he
looked over the printout, he found an entirely new set of results. The results
was expected to be same as before.
Lorenz believed his result, and argued that the system is sensitive to the
initial condition. This accidental discovery generated a new wave in science
after a while. Note that the equations used by Lorenz do not conserve energy
unlike three-body problem. These two kinds of systems are called dissipative
and conservative systems, and both of them show chaos.
5
1.6
aPn (1 Pn )
where Pn is the population on the nth year. May observed that the time series
of Pn shows constant, periodic, and chaotic solution.
1.7
In 1979, Feigenbaum showed that the behaviour of Mays model for population
dynamics is shared by a class of systems. Later scientists discovered that these
features are also seen in many experiments. After this discovery, scientists
started taking chaos very seriously. Some of the pioneering experiments were
done by Gollub, Libchaber, Swinney, and Moon.
1.8
1.9
1.10
In QM the system is described by wavefunction. The evolution of the wavefunction is deterministic. However in QM one cannot measure both position and
velocity precisely. There is uncertainty involved all the time
xp h.
Hence, even in QM the world is not deterministic as envisaged by classical
physicists. In the present course we will not discuss QM.
Quantum chaos is study of classical systems that shows chaos.
6
1.11
1.12
References
Chapter 2
Dynamical System
2.1
Dynamical System
2.2
The most generic way to characterize such systems is through differential equations. Some of the examples are
1. One dimensional Simple Oscillator: The evolution is given by
m
x = kx,
We can reduce the above equation to two first-order ODE. The ODEs are
x
p
= p/m,
= kx.
dI
Q
+ RI +
= Vapplied .
dt
C
8
I,
Vapplied RI
Q
.
C
x2 =
.
f2 (x1 , x2 , ..., xn , t)
.
xn
where fi are continuous and differentiable functions. When the functions fi are
independent of time, the system is called autonomous system. However, when
fi are explicit function of time, the system is called nonautonomous. The three
examples given above are autonomous sysetms.
A nonautonomous system can be converted to an autonomous oney by renaming t = xn+1 and
x n+1 = 1.
An example of nonautonomous system is
x
p
= p
= x + F (t).
The above system can be converted to an autonomous system using the following
procedure.
x =
p =
t =
x + F (t)
1.
In the above examples, the system variables evolve with time, and the evolution is described using ordinary differential equation. There are however many
situations when the system variables are fields in which case the evolution is described using partial differential equation. We illustrate these kinds of systems
using examples.
9
1. Diffusion Equation
T
= 2 T.
t
Here the state variable is field T (x). We can also describe T (x) in Fourier
space using Fourier coefficients. Since there are infinite number of Fourier
modes, the above system is an infinite-dimensional. In many situations,
finite number of modes are sufficient to describe the system, and we can
apply the tools of nonlinear dynamics to such set of equations. Such
systems are called low-dimensional models.
2. Navier-Stokes Equation
u
+ (u )u = p + 2 u.
t
Here the state variables are u(x) and p(x).
2.3
Many systems are described by discrete time. For example, hourly flow Qn
through a pipe could be described by
Qn+1 = f (Qn ).
where f is a continuous and single-valued function, and n is the index for hour.
Another example is evolution of the normalized population Pn is the population
at nth year then
Pn+1 = aPn (1 Pn ).
2.4
For some ynamical systems the system variables are discrete, and they evolve
in discrete time. A popular example is game of life where each site has a living
cell or a dead cell. The cell at a given site can change from live to dead or
vise versa depending on certain rules. For example, a dead cell becomes alive
if number of live neighbours are between 3 to 5 (neither under-populated or
over-populated). These class of dynamical systems show very rich patterns and
behaviour. Unfortunately we will not cover them in this course.
2.5
The values of system variables of logic gates are discrete (0 or 1). However they
depend on the external input that can exceed the threshold value in continuous
time. Again, these class of systems are beyond the scope of the course.
10
2.6
Nonlinear systems
2.7
State Space
x3
x(t)
x(0)
x2
x3
A state space or phase space is an space whose axis are the state variables
of a dynamical variables. The systems evolution can be uniquely determined
from an initial condition in the state space.
11
Chapter 3
3.1
x f " (x )(x x ),
whose solution is
Clearly, if f " (x ) < 0, the system will approach x . This kind of fixed point is
called a node. If f " (x ) > 0, the system will go away from x , and the fixed
point is called a repeller. These two cases are shown in the first two figures of
the following diagram:
f(x)
f(x)
f(x)
x
Node
f(x)
x
Repeller
Saddle I
x
Saddle II
f "" (x )
(x x )2 .
2
If f "" (x ) > 0 (third figure), then x > 0 for both sides of x . If the system is
to the left of x , it will tend towards x . On the other hand if the system is
to the right of x , then it will go further away from x . This point is called
saddle point of Type I. The reverse happens for f "" (x ) < 0, and the fixed point
is called saddle point of Type II.
Examples
1. x = 2x. The fixed point is x = 0. It is a repeller because f " (0) = 2
(positive).
2. x = x+1. The fixed point is x = 1. It is node because f " (1) = 1
(negative).
3. x = (x 2)2 . The fixed point is x = 2. This point is a saddle point of
Type I because f "" (2) = 2 (positive).
The above analysis provides us information about the behaviour near the fixed
points. So they are called local behaviour of the system.
3.2
Global properties
To understand the system completely, we need to understand the global dynamics as well. Fortunately, the global behaviour of 1D systems rather simple, and
it can be easily deduced from the continuous and single valued nature of the
function f . We illustrate the global behaviour using several examples.
Examples:
1. x = x(x 1). FPs are at x = 0 (node) & x = 1 (repeller). Using the single
valued nature of f (x) we can complete the state space diagram which is
shown in Fig.
2. x = x(x 1)(x 2). The FPs are at x = 0, 1, 2. From the information
on the slopes, we deduce that x = 0 and 2 are rellers and x = 1 is node.
These information and continuity of f (x) helps us complete the full state
space picture., which is shown in Fig.
3. x = ax(1 x/k) where a and k are positive constants. The fixed points
are at x = 0 and k. Since f " (0) = a > 0, x = 0 is a repeller. For the other
FP , f " (k) = a < 0, so x = k is a node. Using this information we sketch
the state space, which is shown in Fig....
The above examples show how to make the state space plots for 1D systems.
Using the continuity and single-valued nature of the function f (x) we can
easily deduce the following global properties for a 1D dynamical system.
1. Two neighbouring FPs cannot be nodes or repeller.
2. Two repellers must have a node between them.
13
Exercise
1. For the following systems, obtain the fixed points, and determine their
stability. Sketch state-space trajectories and x t plot
(a) x = ax for a < 0; a > 0.
(b) x = 2x(1 x)
(c) x = x x3
(d) x = x2
(e) x = sin x
(f) x = x cos x
14
Chapter 4
Two-dimensional Linear
Systems
4.1
= f1 (X1 , X2 )
= f2 (X1 , X2 ).
= 0
f2 (X1 , X2 )
= 0.
The solution of the above equations yield fixed points which could be one or
more.
Let us analyze the systems behaviour near the fixed point.We expand the
functions f1,2 near the fixed point (X1 , X2 ). Using X1 X1 = x1 and X2 X2 =
x2 , the equation near the FP will be
x 1
x 2
f1 (X1 , X2 )
f1 (X1 , X2 )
|(X1 ,X2 ) x1 +
|(X1 ,,X2 ) x2
X1
X2
f2 (X1 , X2 )
f2 (X1 , X2 )
|(X1 ,,X2 ) x1 +
|(X1 ,X2 ) x2
X1
X2
The four partial derivatives are denoted by a, b, c, d. The above equations can
be written in terms of matrix:
"
# "
#"
#
x 1
a b
x1
=
(4.1)
x 2
x2
c d
Let us look at a trivial system:
# "
#"
#
"
a 0
x1
x 1
=
x 2
x2
0 d
15
x2 (t) =
When b and/or c nonzero, the equations get coupled. These equations however
can be easily solved using matrix method described below.
4.2
In this section we will solve the equation (4.1) using similarity transformation.
For the following discussion we will use bra-ket notation in which bra (x|
stands a row vector, while ket |x& stands for a column vector. In this notation,
Eq. (4.1) is written as
= A|x&,
|x&
"
#
a b
where A =
is the 2x2 matrix, and |x& = (x1 , x2 )T is a column vector.
c d
The basic strategy to solve the above problem is to diagonalize the matrix A,
solve the equation in the transformed basis, and then come back to the original
basis.
As we will see
" below,#the solution depends crucially on the eigenvalues 1 , 2
a b
of matrix A =
. The eigenvalues of the matrix are
c d
1,2 =
!
1
(T r T r2 4)
2
4.2.1
Real Eigenvalues 1 != 2
The eigenvectors corresponding to the eigenvalues 1,2 are |v1 & = (1, b/(a
1 )T and |v2 & = (1, b/(a 2 )T respectively. Since 1 != 1 , |v1 & and |v2 &
are linearly independent. Using these eigenvectors we construct a nonsingular
matrix"S whose
columns"are #
|v1 & and |v2 &. We denote the unit vectors by
#
1
0
|e1 & =
and |e2 & =
. Clearly S|e1 & = |v1 & and S|e2 & = |v2 &.
0
1
The matrix S 1 AS
S 1 AS|e1 & = S 1 A|v1 & = 1 S 1 |v1 & = 1 |e1 &.
16
Similarly
Therefore S 1 AS is a diagonal matrix whose diagonal elements are the eigenvalues of A, i.e.,
"
#
1 0
S 1 AS = D =
.
0 2
This procedure is called diagonalization of matrix. Note that the whole proof
hinges on the existance of two linearly indendent eigenvectors.
In the following we will use the above theorem to solve the DE. Inversion of
the above equation yields A = SDS 1 and
= A|x& = SDS 1 |x&.
|x&
Since
we obtain
exp (At)|x(0)&
=
=
S exp (Dt)|y(t)&
S exp (Dt)[y(0)|e1 & + y2 (0)|e1 &]
Elimination of t yields
y1
y1 (0) exp (1 t)
y2
y2 (t) = C[y1 ]2 /1 ,
where C is a constant. We can plot these the phase space trajectories in y1 -y2
plane very easily. When 1,2 are of both positive (1,2 here), then we obtain
curves of the type I (see Fig. 4.1). The fixed point is called a repeller and the
phase space curves are y2 = Cy12 . When the eigenvalues are both negative, the
the fixed point is a node; the flow is shown in Fig. 4.2 (-1,-2 here) with phase
17
y2(t)
3
3
0
y1(t)
Figure 4.1: A phase space plot of a system y1 = y1 , y2 = 2y2 . The fixed point
is a repeller.
space curves again as y2 = Cy12 . In Fig. 3, 1 is positive, while 2 is negative,
with the fixed point termed as saddle ( =1,-1 respectively). The flow diagram
for a saddle is shown in Fig. 4.3 with the phase space curves as y2 y12 = C.
The y1 and y2 axes are the eigen directions in y1 -y2 plane. If the initial condition lies on either of the axes, then the system will remain on that axis forever.
Hence these are the invariant directions.
In x1 -x2 plane the above mentioned state space plots are similar to those in
y1 -y2 plane except that the eigen directions are rotated. This is illustrated by
the following example:
Example 1:
"
#
1 0
A=
1 2
T r = 3, = 2. The eigenvalues
1,2 =
98
= 1, 2.
2
"
1
1
18
0
1
y2(t)
3
3
0
y1(t)
y2(t)
3
3
0
y1(t)
Figure 4.3: A phase space plot of a system y1 = y1 , y2 = 2y2 . The fixed point
is a saddle.
19
y (t)
3
3
0
y (t)
y2(t)
3
3
0
y1(t)
Figure 4.5: A phase space plot of a system x1 = 4x1 + 2x2 , x2 = 2x1 + 4x2 . The
fixed point is a repeller.
20
y2(t)
3
3
0
y1(t)
"
1 0
0 2
The eigenvalues of the matrix are 2 and 6, and the corresponding eigen vectors
are (1, 1)T and (1, 1)T . The phase space picture in x1 -x2 basis is shown in
Fig. 4.5.
Example 3: Motion in a potential U (x) = x2 /2
Equation of motion
dU
= x.
x
=
dx
Therefore,
x 1
x 2
=
=
21
x2 ,
x1 .
"
0
1
1
0
whose
" 1 and
# -1. The corresponding eigenvectors are |v1 & =
"
# eigenvalues are
1
1
respectively. These are the diagonals as shown in
and |v2 & =
1
1
Fig. 4.6. The eigenvalue is +1 long the eigen direction |v1 &, so the system will
move away from the origin as exp(t). However the system moves towards the
the origin along |v2 & as exp(t) since the eigenvalue is -1 along this direction.
In the x1 x2 basis the solution is
|x(t)& = y1 (0) exp (t)|v1 & + y2 (0) exp (t)|v2 &.
y1 + y2 ,
x2
y1 y2 .
One can easily show that the DEs are decoupled in y1,2 variables.
We can eliminate t and find the equations of the curves
y1 y2 = C,
which are hyperbola. In terms of x1 x2 , the equations are
x21 x22 = C " .
p2
x2
= const = E.
2
2
The above equation could also be obtained from the conservation of energy.
The curves represent physical trajectories. See figure below. Note that E < 0
and E > 0 have very different bahviour. The curve E = 0 are the eigenvectors.
Interpret physically. Show that when E = 0,the system take infinite time to
reach to the top.
D
A
E=5
R
E = 5
E=0
E = 5
E=0
T
U
P
E=5
B
0
x
Our system is in region A at point P shown in the figure. See the directions
22
of the arrow. The fixed point is (0, 0). Technically this type of fixed point is
called a saddle. All the unstable fixed points of mechnaical systems have this
behaviour.
4.2.2
=
=
"
x2
x1 .
0 1
1 0
A|xre &,
A|xim &,
Hence, |xre & and |xim & are both solution of the original DE. Since |xre & and
|xim & are linearly independent solutions of the DE, we can write the general
solution x(t) as a linear combination of |xre & and |xim &:
|x&
Hence
x1 (t)
x2 (t)
=
=
y2(t)
3
3
0
y (t)
E=1
1.5
1
0.5
0
A
C
0.5
E = 0.5
1.5
2
1
0
x
Note that we could have had derived the equations for the curve using the
energy conservation.
"
#
1
Recall that the independent solutions for real eigenvalues were exp (1 t)
0
"
#
0
and exp (2 t)
, which corresponds to the motion along the eigen direction.
1
For the above case with imaginary eigenvalues, the eigenvectors are"not along #a
cos t
straight line in the real space. Here the system essentially moves as
sin t
"
#
sin t
and
which corresponds to the clockwise and anticlockwise circular
cos t
motion respectively.
In the above discussion we have shown how to use real vectors to solve the
DEs whose eigen values are pure imaginary. In the following we will extend the
procedure to complex eigenvalues. Suppose the eigenvalues are i, and the
eigenvector corresponding to + i is |v& = |v1 & + i|v2 & where |v1 & and |v2 & are
24
then
S 1 AS|e1 & =
S
AS|e2 & =
Therefore
S
AS =
"
= B,
(4.2)
Note that |v & is the other independent eigen vector. we can also diagonalize A
). However we wish to avoid the complex vectors.
by using (
vv
In the following discussion we will"solve
# Eq. 4.2. In the new basis the eigen1
vector corresponding to ( + i) is
. Along this direction the evolution
i
is
" #
1
|y(t)& = exp (t) exp (it)
i
"
#
"
#
cos (t)
sin (t)
= exp (t)
+ i exp (t)
sin (t)
cos (t)
= |yre & + i|yim &.
= B|yre &,
= B|yim &,
Hence, |yre & and |yim & are both independent solution of Eq. 4.2, and the general
solution |y(t)& as a linear combination of |yre & and |yim &:
|y(t)&
which are the equations of spirals as shown in Fig. 4.8. When < 0, the system
moves towards the origin (fixed point), and the fixed point is called spiral node.
However when > 0, the system moves outward, and the fixed point is called
a spiral repeller.
25
y (t)
3
3
0
y1(t)
4.2.3
Repeated eigenvalues
Consider matrix
A=
"
a
c
b
d
bcu1 + bu2 = 0.
(4.3)
(4.4)
26
y (t)
3
3
0
y (t)
Figure 4.9: A phase space plot of a system x1 = 2x1 , x2 = 2x2 . The fixed point
is a repeller.
With two independent eigenvectors: 1 = 2 , b = c = 0
According to the above discussion, the matrix A will be of the form
"
#
a 0
A=
= aI.
0 a
The solution is trivial.
x(t) = x1 (0) exp (at)E1 + x2 (0) exp (at)E2 .
The equation of the curves are
x2 (t) = Cx1 (t)
as shown in Fig. 4.9. Note that anytwo linearly independent eigenvectors are
eigenvectos of the matrix.
With only eigenvector: 1 = 2 , b != 0, c = 0
(4.5)
y2(t)
3
3
0
y (t)
Figure 4.10: A phase space plot of a system y1 = 2y1 + y2 , y2 = 2y2 . The fixed
point is a repeller.
Substitution of the above form of |w& in Eq. (4.5) yields
(A I)|e& = |v&.
If = 0, |e& will also be a eigenvector, which is contrary to our assumption.
Hence != 0. Using |e&/ = |u&, we obtain
A|u& = |v& + |u&.
Using
S = [|v& |u&]
we obtain
S 1 AS =
"
= B,
which is the Jordon-Cannonical form for the 2x2 matrix with repeated eigenvalues. In the new basis
whose solution is
|x(t)& =
y 1
y1 + y2
y 2
y2
"
exp (t)
0
t exp (t)
exp (t)
4.3
28
y2(t)
3
3
0
y1(t)
y2(t)
3
3
0
y1(t)
29
y (t)
3
3
0
y1(t)
x2
x2
x1 2x2 .
!
2 1.
30
y2(t)
3
3
0
y1(t)
y (t)
3
3
0
y1(t)
31
Chapter 5
5.1
Linear systems
Def: A matrix A is hyperbolic if none of its eigenvalues has real part 0. We also
say that the system x = Ax is hyperbolic.
Thm: Suppose that the 2 2 matrices A1 and A2 are hyperbolic. Then the
linear systems x = Ax are conjugate if and only if each matrix has the same
number of eigenvalues with negative real parts.
Without proof.
32
Chapter 6
2D Systems: Nonlinear
Analysis
The nonlinear system is given by
x = f (x),
where f (x) is a nonlinear function. In 2D we write
x =
y =
f (x, y)
g(x, y)
6.1
6.1.1
Global Picture
Example 1: Pendulum
sin .
The DS has two fixed points: (0, 0) and (, 0) (because the system is periodic
in ).
Linearization near (0, 0) yields
33
y2(t)
4
4
0
y1(t)
Figure 6.1: A phase space plot of a system y1 = y1 , y2 = 2y2 . The fixed point
is a repeller.
Clearly the fixed point is a center. It is consistent with the fact that the (0, 0)
is a stable equilibrium point. Linearization near (0, )yields
=
v =
v
,
or
6.1.2
Example 2
x = x + x3 .
34
y2(t)
3
3
0
y1(t)
Figure 6.2: A phase space plot of a system y1 = y1 , y2 = 2y2 . The fixed point
is a repeller.
The force (p)
is zero at x = 0, 1. Therefore, the fixed point are (0, 0) and
(1, 0) (note x = 0). The potential plot is given in the figure:
1.5
E = 1/2
0.3
0.5
0.2
0.1
0.5
E = 1/4
U(x)
E = 7/64
0
0.1
0.2
1.5
1 0.5 0 0.5
x
(a)
1.5
1.5 1
0.5 0
x
0.5
1.5
(b)
Clearly (0, 0) is a stable FP, and (1, 0) are unstable FP. Near (0, 0), the
equation are
x =
p =
p,
x,
which is the equation of the oscillator. Hence, near (0, 0) the behaviour will be
the same as that near the oscillator. Now near (1, 0), change the variable to
x" = x 1. In terms of (x" , p), the equations are
x
p
=
=
p,
2x" ,
which is the equation for the unstable hill discussed in Problem 3.5.5. Hence,
the phases space around (1, 0) should look like of Problem 3.5.5. The same thing
for (1, 0) also. You can see from the potential plot that (1, 0) are unstable
35
points. Therefore, the phase space plot will look like as shown in the figure.
What are the other phase trajectories doing?
(b) By similar analysis we draw the phase space trajectory for a DS whose
equation is
x
= x x3 .
1.5
1
0.5
0
0.5
1
1.5
1
6.2
0
x
Invariant Manifolds
A Manifold is a subspace of the state space that satisfies continuity and differentiability property. For example, fixed points, x-axis, etc. are manifolds. Among
these, invariant manifolds are special. If the initial condition of a DS starts
from an point on a manifold and stays within it for all time, then the manifold
is invariant. For linear systems, the fixed points and eigen vectors are invariant
manifolds. The system tends to move away from the fixed points on the eigenvectors corresponding to the positive eigenvalues, hence these eigenvectors are
unstable manifold. The eigenvectors with negative eigenvectors are stable
manifold since the system tends to move toward the fixed points if it starts on
these curves.
For nonlinear systems, the fixed points are naturally invariant manifolds.
However the stable and unstable manifolds are not the eigenvectors of the linearized matrix of the fixed points. Yet we can find the stable and unstable
manifolds for the nonlinear systems using the following definitions.
Def: The stable manifold is the set of initial conditions |x0 & such that
|x(t)& |x & as t where |x & is the fixed point. Similarly unstable
manifold is the set of initial conditions |x0 & such that |x(t)& |x & as t
(going backward in time).
For the pendulum and x2 x4 potential (Figs), the fixed points and the
constant energy periodic curves are invariant manifolds. In addition stable
and unstable manifolds for the saddle are also visible. Incidently, the unstable
manifold of one saddle merges with the stable manifold of the other saddle.
Trajectories of these kind that join two different saddles are called heteroclinic
trajectories or saddle connection. For x2 +x4 potential (Fig), the unstable
manifold of the saddle merges with its own stable manifold; such trajectories
are called homoclinic trajectories (orbits).
36
6.3
Stability
6.4
6.5
37
6.5.1
Examples
(1) DS
x
y
= x + y2
= y
Locally: saddle
General solution
x(t)
y(t)
1
1
= (x0 + y02 ) exp t y02 exp (2t)
3
3
= y0 exp t
Sketch the plot. The stable manifold is the same as E s . However the unstable
manifold is
x + y 2 /3 = 0.
Locally the same behaviour as the linearized system.
(2) DS
x =
y =
y + x( r2 )
x + y( r2 )
=
=
r( r2 )
1.
= y + ,xr2
= x + ,yr2 .
,r3
1.
which is a spiral. So near the FP the linear behaviour si very different then the
nonlinear behaviour.
(4) DS
x =
x2
y(t) =
x0
1 x0 t
y0 exp (t)
y2(t)
3
3
0
y1(t)
y2(t)
3
3
0
y1(t)
39
y (t)
3
3
0
y (t)
6.6
Let us look at the time evolution of an area. Consider an are given in the figure.
Its area is
A = dxdy = (xB xA )(yD yC ).
By differentiating the above, we obtain
dA
dt
dxdy
f
g
+ dxdy .
y
x
Hence,
1 dA
= div(f, g).
A dt
The above theorem can be easily generalized to any dimenison as
1 dV
= f.
V dt
If the div < 0, the the volume will shrink, and if the div > 0, then the volume
will grow. The flows with div = 0 are area preserving. The systems with div<0
are called dissipative systems, and ones which are area preserving are called
Hamiltonian systems.
Examples:
1. Show that all the mechanical systems which can be described by positiondependent potentials are area-preserving. Demonstrate using SHM as an
example.
2. Show that state-space of frictional oscillator (positive friction) is dissipative.
40
3. Consider
x
6.7
Poincare-Bendixons Theorem
6.7.1
Bendixons Criterion
x
+ x (1 x2 )x
y
x + (1 x2 )y.
Clearly the divergence is (1 x2 ). For |x| < 1, the div is nonzero and
monotonic, hence this region cannot have a periodic solution in the domain
|x|<1 .
2. A DS
x =
y =
x + y 2
y 3 + x2 .
3. SHM: div=0. Periodic solution may exist. In fact, the system has infinite
periodic orbits.
4. For Hamiltonian systems
x
= y
dU
dx
where U is the potential. Clearly (f, g) = 0. But Hamiltonian system
need not have a closed orbit. For example, U = x2 . This example illustrates that Bendixons criterion is a necessary condition for the existance
of closed orbit, but not a sufficient condition.
y
6.7.2
Poincare-Bendixons Theorem
If the DS does not have a fixed point then the system is guaranteed to have an
isolated closed orbit called limit cycle.
Example:
x =
y =
y + x( r2 )
x + y( r2 )
with > 0. Bounded system. 0 is a repeller spiral. Since there is no other fixed
point, the system must have a LC.
Example A DS is given by
x =
y =
Hence the div is
div
x(x2 + y 2 2x 3) y
y(x2 + y 2 2x 3) + x.
3(x2 + y 2 ) + y 2 + x2 6x 3 3
(
)
3
33
4 (x )2 + y 2
.
4
16
=
=
The
bracketed term is an equation of a circle with center at (3/4, 0) and radius
33/4. The sign of div is negative for all the points within the circle. So, using
Bendixons criterion, there cannot be a periodic orbit within the circle.
In radial polar coordinate
r
=
=
r(r2 2r cos 3)
1.
The term in the bracket is positive for r > 3, mixed for 1 < r < 3, and negative
for r < 1. Then the annulus 1 < r < 3 should have a limit cycle. It will be an
unstable LC.
42
6.8
No chaos in 2D systems
6.9
43